right way to run some code with timeout in Python

I looked online and found some SO discussing and ActiveState recipes for running some code with a timeout. It looks there are some common approaches:

• Use thread that run the code, and join it with timeout. If timeout elapsed - kill the thread. This is not directly supported in Python (used private _Thread__stop function) so it is bad practice
• Use signal.SIGALRM - but this approach not working on Windows!
• Use subprocess with timeout - but this is too heavy - what if I want to start interruptible task often, I don't want fire process for each!

So, what is the right way? I'm not asking about workarounds (eg use Twisted and async IO), but actual way to solve actual problem - I have some function and I want to run it only with some timeout. If timeout elapsed, I want control back. And I want it to work on Linux and Windows.